Intraday Markets for Power: Discretizing the Continuous Trading?

22 Pages Posted: 28 Jan 2016

See all articles by Karsten Neuhoff

Karsten Neuhoff

German Institute for Economic Research (DIW Berlin)

Nolan Ritter

Rhine-Westphalia Institute for Economic Research (RWI-Essen)

Aymen Salah-Abou-El-Enien

EPEX Spot SE - Product Design

Philippe Vassilopoulos

EPEX Spot SE - Product Design

Date Written: January 2016

Abstract

A fundamental question regarding the design of electricity markets is whether adding auctions to the continuous intraday trading is improving the performance of the market. To approach this question, we assess the experience with the implementation of the 3 pm local auction for quarters in Germany at the European Power Exchange (EPEX SPOT) in December 2014 to assess the impact on trading volumes/liquidity, prices, as well as market depth. We discuss further opportunities and challenges that are linked with a potential implementation of an intraday auction.

Keywords: Auctions, electricity, empirical analysis, market design

JEL Classification: C5, C57, C93, D44, D47, L50

Suggested Citation

Neuhoff, Karsten and Ritter, Nolan and Salah-Abou-El-Enien, Aymen and Vassilopoulos, Philippe, Intraday Markets for Power: Discretizing the Continuous Trading? (January 2016). DIW Berlin Discussion Paper No. 1544, Available at SSRN: https://ssrn.com/abstract=2723902 or http://dx.doi.org/10.2139/ssrn.2723902

Karsten Neuhoff (Contact Author)

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

Nolan Ritter

Rhine-Westphalia Institute for Economic Research (RWI-Essen) ( email )

Hohenzollernstr. 1-3
Essen, 45128
Germany

Aymen Salah-Abou-El-Enien

EPEX Spot SE - Product Design ( email )

5 Boulevard Montmartre
Paris, FR-75002
France

Philippe Vassilopoulos

EPEX Spot SE - Product Design ( email )

5 Boulevard Montmartre
Paris, FR-75002
France

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